Capital Flows During Quantitative Easing: Experiences of Developing Countries

A potentially important side effect of quantitative easing (QE) by the United States Federal Reserve was the expansion of capital flows into developing countries. As a result, there were widespread concerns that reversing QE might trigger financial instability in those countries. The central objective of our article is to empirically investigate this important issue by (1) examining the effect of QE on capital flows into developing Asia and (2) identifying the most significant factors that influence the effect of a QE taper tantrum on exchange rate instability. We find that capital flows into developing countries during QE were at least comparable to those before the global financial crisis. We also find that capital flows during QE and the symptoms of those capital flows such as high inflation, credit expansion, and the deterioration of the current-account balance accounted for much of the destabilizing effect of a QE taper tantrum. While there is no evidence that macroprudential policies directly reduce the destabilizing effect, they can nevertheless be useful preemptive measures.     

量化宽松政策的溢出效应分析

摘要：本文探讨了与美联储及其货币政策相关的四个问题,包括量化宽松政策对新兴市场国家的影响、美联储在为国际金融市场提供流动性方面的作用、量化宽松政策与货币操纵以及国际贸易与国际资本管制等,并提出新兴市场国家应通过政策调整应对量化宽松政策、增加对国际货币基金组织的资金投入及推动双边投资和自由贸易谈判等政策建议。     

Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit

The few existing studies on equity price dynamics and market efficiency for Latin American emerging equity markets show conflicting results. This study uses multiple varianceratio and auto-regressive fractionally integrated moving-average tests and new data (U.S. dollar-based national equity indices for the 1987–1997 period) to clarify these results. Documented evidence shows that equity prices in major Latin American emerging equity markets — Argentina, Brazil, Chile and Mexico—follow a random walk, and that they are, generally, weak-form efficient. In sum, therefore, the evidence suggests that international investors in these markets cannot use historical information to design systematically profitable trading schemes because future long-term returns are not dependent on past returns.     

Brand Equity and Firm Risk: An Empirical Investigation in an Emerging Market

The aim of this article is to investigate the relationship between brand equity and firm risk in Turkey using a sample of 254 firm-year observations for the period 2009–2014. Our findings suggest that brand equity is an important determinant of equity risk in addition to conventional firm-specific variables. In particular, after controlling for firm-specific variables, the results reveal that firms with high brand equity experience lower volatility in stock returns. We also find that enhancing brand equity is an important tool for firms in reducing unsystematic and downside systematic risk in their stock prices. Our findings are robust to different valuation models of domestic and global investors as well as different methods of estimations. The results are encouraging for both marketing managers and investors, particularly those in emerging markets where stock price volatility is relatively higher than in developed markets.     

Liquidity and Return Relationships in an Emerging Market

In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.     

新兴市场国家的国际资本流动与双危机模型扩展

本文基于新兴市场国家经济背景下,从国内中央银行和国内投资者、国际投资者三类主体进行不完全信息博弈的角度对双危机理论模型进行了有效扩展,探讨了对国际资本流动进行和不进行数量和税费控制条件下银行危机与货币危机发生所满足的必要条件,从而更深入全面地探讨了国际资本流动与双危机之间的传导机制。以马来西亚的实际数据对扩展模型的合理性和有效性进行了验证,并对模型中的主要参数对均衡结果的不同影响进行了分析,为类似中国的新兴市场国家制定安全有效的货币政策以及防范金融危机提供了思路和政策建议。     

Net Equity and Debt Flows to Emerging Market and Developing Economies in the Post-Crisis Era

We investigate the determinants of net equity and debt flows into 60 emerging and developing countries during 1986–2012, with a special focus on the period following the onset of the global financial crisis (GFC). Our results controlling for endogeneity show that net equity flows to emerging markets were mostly influenced by global risk factors, while net debt flows were affected by country-specific factors. We further distinguish the factors that were more pronounced in determining net portfolio flows to emerging markets since the GFC. The US real interest rate had significant spillover effects on net equity flows after the GFC. An increase in country’s domestic credit attracted net debt inflows before the GFC, while it was associated with net equity outflows after the GFC. We also find that capital controls moderated net debt flows since the GFC.     

新兴市场金融脆弱性:基于国际资本易变性的分析

随着国际资本流动规模的日益庞大,其易变性的破坏力也越来越大,而且在新兴市场国家表现得尤为强烈,这加剧了新兴市场国家金融脆弱性。国际资本易变性从冲击货币稳定、影响国际收支的可维持性以及国际游资对金融市场的高度投机三个方面加剧了新兴市场金融脆弱性。它在新兴市场表现尤为强烈的原因在于新兴市场的不稳定性和不成熟性。     

区域性股权市场服务小微企业的实践与探索

区域性股权市场作为我国多层次资本市场的重要组成部分,可以为中小微企业提供以股权融资为核心的综合金融服务,为地方政府扶持中小微企业政策提供平台,在服务地方中小微企业方面发挥着不可或缺的作用。近十年来,各区域性股权市场已在拓宽融资渠道、促进改制升级、支持科创企业发展、服务基层金融工程、协助政策实施等方面积累了丰富的实践经验。后续仍应通过政策引导和制度创新,充分发挥区域性股权市场的功能作用,畅通其与更高层次资本市场间的有机联系机制,适时启动改革创新试点,并营造良好的市场发展环境,多措并举推动区域性股权市场不断走向成熟和完善,为小微企业发展和经济转型升级做出更大贡献。     

Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets

We use the multiple variance-ratio test of Chow and Denning (1993) to examine the stochastic properties of local currency- and US dollar-based equity returns in 15 emerging capital markets. The technique is based on the Studentized Maximum Modulus distribution and provides a multiple statistical comparison of variance-ratios, with control of the joint-test's size. We find that the random walk model is consistent with the dynamics of returns in most of the emerging markets analyzed, which contrasts many random walk test results documented with the use of single variance-ratio techniques. Further, a runs test suggests that most of the emerging markets are weak-form efficient. Overall, our results suggest that investors are unlikely to make systematic nonzero profit by using past information in many of the examined markets, thus, investors should predicate their investment strategies on the assumption of random walks. Additionally, our results suggest exchange rate matters in returns' dynamics determination for some of the emerging equity markets we analyzed.     

The Return Performance of Cubic Market Model: An Application to Emerging Markets

This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated through the Fama and MacBeth’s two-step regression and through different corrections proposed in the literature, as well as generalized method of moments (GMM) estimation. According to Fama–MacBeth’s procedure, CAPM, the quadratic and cubic market models seem to be insignificant for the analyzed sample; however, the GMM estimation shows that quadratic model is valid for Indian, Polish, and Thai country indices, whereas cubic market model is accurate for Indian country index.     

Reexamining the Robustness of the Market Value of Equity

We apply the methodology of Knez and Ready (KR) (1997) to data from the Japanese stock market and reexamine the robustness of the risk premium for the market value of equity (MVE). In particular, we compare two alternative explanations for the relation between stock returns and MVE: the one pointed out by Fama and French (FF) (1992) and the other proposed by Berk (1995). Consistent with results for the U.S. market, when we check FF's explanation for MVE, we find that the risk premium for MVE is not robust against extreme observations. Besides the evidence supporting KR's findings, we study the role of MVE proposed by Berk (1995), who points out that under controlled expected cash flows, MVE will be negatively correlated with expected returns. After showing that MVE negatively correlates with risk in the presence of expected cash flows, we test the robustness of the relation between returns and MVE. We find that the estimated risk premium for MVE is robust when realized cash flows (earnings plus depreciation) or book value of equity (BE) is used as a proxy for expected cash flows.     

股权资本与区域经济增长的内生性实证检验

在Lucas(1988)模型基础上引入金融资本建立内生经济增长分析框架,研究分析表征区域股票市场发展的两个变量(股权资本和股东权益)对经济增长的影响,并重点强调对内生性问题的分析。借助省级面板数据进行实证检验后发现,经济增长动力的地区差异十分明显,股权资本对经济增长的贡献不显著。     

SME Financing in Emerging Markets: Firm Characteristics,Banking Structure and Institutions

Using the World Bank Enterprise Survey indicator database, we investigate (1) how firm characteristics affect financing of small and medium-size enterprises (SMEs) in emerging markets; (2) how cross-country differences in the banking sector affect SME financing; and (3) how financing of SMEs is influenced by economic development and institutions. Our findings confirm that younger and smaller firms in nonmanufacturing sectors consistently face severe financing obstacles/constraints and rely heavily on internal financing. Moreover, the availability of credit information and the bank concentration ratio, as well as economic development and the institutional environment, can significantly affect SME financing, and access to external financing in particular.     

Political Risk and Foreigners' Trading: Evidence from an Emerging Stock Market

This paper analyzes the impact of political risk on foreign investors' trading in emerging stock markets, market-wide and for industry portfolios, using quantified political risk ratings reported in the International Country Risk Guide and foreign flows data compiled by the Istanbul Stock Exchange. We also track the differential effect of political risk upgrades and downgrades. Political risk is shown to affect stock returns, net foreign flows, and macroeconomic variables. Foreigners' reaction to upgrades (downgrades) is slow (immediate) and smaller in magnitude. Foreigners' reaction to political risk varies with industry's sensitivity to market risk, except for the tourism sector, where their response is particularly salient. Local investors appear to provide liquidity to foreigners, who respond to information.     

Global Liquidity and Financial Stress: Evidence from Major Emerging Economies

We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that take into account the structural characteristics of these economies, we construct a financial stress index. We then use a Markov regime switching model to identify the high financial stress episodes. We examine periods of heightened financial stress and its relationship to high incidence of domestic and global disturbances. Finally, we construct a global financial liquidity index and assess the relationship between financial stress and global liquidity. Using a bivariate Markov regime switching VAR model, we find a regime-dependent relation between global liquidity and financial stress. Moreover, global liquidity shocks seem to strain these emerging economies in such a way that global illiquidity heightens financial stress.     

信贷市场、资本市场与我国的储蓄投资转化率

储蓄向投资转化是金融体系最基本的功能.本文首先从理论上论证信贷市场、资本市场在储蓄投资转化过程中是竞争又合作的动态互补关系,接着以灰色关联度的数量方法论证我国目前正处于金融体系历史演变阶段中的弱市场导向阶段,信贷市场仍然在储蓄向投资转化的过程中占主体地位,以股市为代表的资本市场对储蓄投资转化率的影响较小,但已呈现出向上发展的态势.我国应在加大银行部门发展的基础上大力发展资本市场,并从法律政策、政府监管等方面进行完善,充分发挥资本市场的作用,建立适合中国自身特点的金融结构.     

信贷市场、资本市场与我国的储蓄投资转化率

储蓄向投资转化是金融体系最基本的功能。本文首先从理论上论证信贷市场、资本市场在储蓄投资转化过程中是竞争又合作的动态互补关系，接着以灰色关联度的数量方法论证我国目前正处于金融体系历史演变阶段中的弱市场导向阶段，信贷市场仍然在储蓄向投资转化的过程中占主体地位，以股市为代表的资本市场对储蓄投资转化率的影响较小，但已呈现出向上发展的态势。我国应在加大银行部门发展的基础上大力发展资本市场，并从法律政策、政府监管等方面进行完善，充分发挥资本市场的作用，建立适合中国自身特点的金融结构。     

新兴市场国际资本逆转问题的观察与分析

席卷全球的金融危机改变了国际资本流入新兴市场的既定状况。由于世界范围内的信贷严重紧缩和美元的高调升值,形成了金融资本大规模撤离新兴市场国家的新现象。这一资本逆转的结果不仅可能加大新兴市场国家货币的贬值压力,冲击和干扰其本已脆弱的金融体系,而且势必打击该区域实体产业和既有福利。国际社会应当从加强监管、密切金融合作和消除贸易保护主义等方面尽可能阻止金融资本撤离新兴市场的进程和规模。